Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0148
Annualized Std Dev 0.2356
Annualized Sharpe (Rf=0%) 0.0629

Row

Daily Return Statistics

Close
Observations 3690.0000
NAs 1.0000
Minimum -0.1047
Quartile 1 -0.0068
Median 0.0006
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0081
Maximum 0.1175
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0148
Skewness -0.3313
Kurtosis 7.3556

Downside Risk

Close
Semi Deviation 0.0109
Gain Deviation 0.0099
Loss Deviation 0.0114
Downside Deviation (MAR=210%) 0.0155
Downside Deviation (Rf=0%) 0.0108
Downside Deviation (0%) 0.0108
Maximum Drawdown 0.5115
Historical VaR (95%) -0.0225
Historical ES (95%) -0.0359
Modified VaR (95%) -0.0234
Modified ES (95%) -0.0433
From Trough To Depth Length To Trough Recovery
2007-02-27 2009-03-09 2015-05-19 -0.5115 2061 509 1552
2018-01-18 2020-03-16 NA -0.4218 799 543 NA
2015-06-02 2016-07-07 2018-01-04 -0.3795 655 278 377
2006-07-03 2006-07-18 2006-08-15 -0.0973 22 7 15
2006-08-23 2006-09-22 2006-12-07 -0.0661 75 22 53

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA 5.4 0.6 0.6 -0.2 -0.2 -0.4 0.1 6
2007 1.7 -0.3 -1.1 0.1 0.4 1 -0.7 2.2 1.5 -1.4 -0.4 0 3.1
2008 1.1 0 1.8 0.8 1.6 -0.8 -1 0.9 -0.5 0.5 -7.1 1.7 -1.3
2009 -1.9 -2.5 2.3 0.4 1.4 1.5 0.9 -1.5 -2.2 -0.8 2.9 -1 -0.6
2010 1 1 1.2 -0.9 0.7 -0.5 -0.9 3.2 -0.5 -0.8 2.3 0.2 5.9
2011 1 -0.2 1 -0.3 -1.8 0.9 -0.4 -0.8 -1.8 -1.5 -1.2 0 -5
2012 0.9 0.5 0.6 -0.5 -2.7 2.7 0.2 -0.3 0.1 1.2 -0.1 1.5 3.9
2013 1 1.8 -4.6 -1.5 -2.4 1.6 3.9 -2.1 -1 -0.6 0.4 0.4 -3.3
2014 -2.8 0.2 0.7 0.7 0 1.7 -0.3 0.1 -2.3 6.6 0.3 -0.4 4.4
2015 -2.2 -0.4 -0.4 2.1 1.2 1.2 0.7 -5.7 0.5 -0.9 1.3 -1.1 -3.8
2016 -0.5 3.3 -3.2 -2.3 -1.2 -1.1 0.7 0.7 0.3 -1.5 -1.2 0.2 -5.7
2017 0.7 2.7 -1.4 0.7 1.4 1 0.4 0.1 -0.1 1 -1 0.1 5.7
2018 0.8 -3.4 0.6 0.5 1.6 0.1 0.6 -0.1 1.3 -0.2 0.2 -0.8 1
2019 -0.1 0.7 2.3 -0.5 -2.7 2.2 -1.5 0.5 -0.6 1.3 -0.9 0.3 0.7
2020 -2.4 -1.9 -5.4 -2.8 1.2 -0.7 -2.1 0.4 0.1 -0.5 2 0.2 -11.6
2021 1.3 1.9 0.9 NA NA NA NA NA NA NA NA NA 4.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-06-16  50.2 SPY    125. -0.0073 -0.00120  -0.013   -0.0415   0.0313    0.232  -0.0071 GLD    57.7  0.0063  -0.0458
2 2006-06-19  50.1 SPY    124. -0.0079 -0.0026   -0.0201  -0.0517   0.019     0.218  -0.0176 GLD    56.4 -0.0229  -0.0611
3 2006-06-20  50.1 SPY    124.  0.0034  0.0126   -0.0237  -0.0424   0.0222    0.241  -0.0057 GLD    57.3  0.0167   0.0247
4 2006-06-21  50.6 SPY    125.  0.0074  0.0122   -0.0089  -0.0412   0.0291    0.257   0.0247 GLD    58.3  0.018    0.0487
5 2006-06-23  50.4 SPY    124. -0.0002 -0.0017   -0.0137  -0.0443   0.0382    0.263   0.0262 GLD    58.0  0.0045   0.0054
6 2006-06-26  50.3 SPY    125.  0.0044  0.0107   -0.0215  -0.0387   0.0505    0.282   0.0263 GLD    58.3  0.005    0.0341
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart